Prepare charcoal for smoking: Light and wait for the gray ash to cover at least 90 percent of the coals. Place the split wood on the coals and wait about 10 minutes before reducing the air flow to make it burn slower.
Arrange the squash halves cut side down on the grilling surface and close the lid. Slow smoke for 2 hours or less if you prefer them less smoky - as long as they are tender.
Place bacon in a skillet over medium heat. Cook until browned and crisp; remove and drain on paper towels.
Once the squash are smoked, scoop the flesh out of the skins with a large spoon and transfer to a food processor. Process until smooth, adding butter and half of the water. Transfer to a soup pot and stir in the chicken broth and remaining water. Season with cumin, parsley and paprika; simmer over low heat for 40 minutes.
To serve, ladle soup into bowls and top with a dollop of sour cream, a generous amount of crumbled bacon and cilantro. Dust lightly with cayenne pepper.
